Solutions to integro-differential parabolic problems
arising in the pricing of financial options in a Levy market

Ionut Florescu, Maria Cristina Mariani
Abstract:
We study an integro-differential parabolic problem modelling
a process with jumps and stochastic volatility in financial
mathematics. Under suitable conditions, we prove the existence
of solutions in a general domain using the method of upper
and lower solutions and a diagonal argument.